aeSd: Asymptotic Expansion - Standard Deviation

In yuima: The YUIMA Project Package for SDEs

Asymptotic Expansion - Standard Deviation

Description

Asymptotic Expansion - Standard Deviation

Usage

aeSd(ae, eps = 1, order = NULL)

Arguments

ae	an object of class yuima.ae-class.
eps	numeric. The intensity of the perturbation.
order	integer. The expansion order. If NULL (default), it uses the maximum order used in ae.

Value

numeric.

Examples

## Not run: 
# model
gbm <- setModel(drift = 'mu*x', diffusion = 'sigma*x', solve.variable = 'x')

# settings
xinit <- 100
par <- list(mu = 0.01, sigma = 0.2)
sampling <- setSampling(Initial = 0, Terminal = 1, n = 1000)

# asymptotic expansion
approx <- ae(model = gbm, sampling = sampling, order = 4, true.parameter = par, xinit = xinit)

# expansion order max
aeSd(ae = approx)

# expansion order 1
aeSd(ae = approx, order = 1)

## End(Not run)

yuima documentation built on Nov. 14, 2022, 3:02 p.m.